RE: Floating Rate on Trinomial tree

Posted by Kim, Hyung Geun on
URL: http://quantlib.414.s1.nabble.com/Floating-Rate-on-Trinomial-tree-tp3933p3935.html

Luigi wrote:

>On 07/25/2005 07:37:27 AM, Kim, Hyung Geun wrote:
>>
>> My question is,
>> 1. How does quantlib calculate all the floating(like 3M Libor) rate  
>> of swap in tree framework?
>>     I want to see actual estimated floating rates on each node and  
>> how they are calculated.
>>     (Swap pricing example via BK(HW) module will be helpful )
>
>There's a DiscretizedSwap class in the library which does this---look  
>into ql/PricingEngines/Swaption/discretizedswaption.[hc]pp for details.
>(In short, one rolls a unit payoff back over three months and obtains  
>the corresponding discount at each node. From there, the Libor is just  
>a formula away.)

Thank Luigi, I got it.
I thought fixingdays for swap should affect floating Libor rate on tree.

thx
hgkim